In 1997, he played terrorist Henry Gupta in Tomorrow Never Dies, and appeared in director Paul Thomas Anderson's film Boogie Nights. Jay also narrated parts of Anderson's 1999 work, Magnolia.

More recently, he played Eddie Sawyer in season one of the television programme Deadwood. He wrote the episode Jewel's Boot Is Made for Walking for the show.

He also worked as a consultant in Hollywood. He and collaborator Michael Weber founded the firm Deceptive Practices in the early 1990s to advise film and television productions on "arcane knowledge", and helped out on films like Forrest Gump, Congo, The Prestige and The Illusionist.